基于面板数据方差变点的股票收盘价分析

Analysis of Stock Closing Price Based on Variance Change Point of Panel Data

文章应用含有调节参数的CUSUM (Cumulative Sum)型估计量对面板数据中方差的共同变点进行估计,并对在美国上市且目前仍在市的教育机构的股票收盘价进行实证分析,分析结果表明了基于含有调节参数的CUSUM型估计量寻找面板数据中方差共同变点的方法是有效的。在实证分析的基础上,把时间序列中基于数据驱动的调节参数的选取方法推广到面板数据中,使得面板数据中CUSUM型方差共同变点估计更可靠。

In this paper, the CUSUM (Cumulative Sum)-type estimator with turning parameter is used to es-timate the common change point of the variance of panel data, and the empirical analysis is carried out on the closing price of the stock of the educational institutions listed in the United States which still in the market. The analysis results show that the method of estimating the common change point of the variance based on the CUSUM-type estimator with turning parameter is effective. Based on the empirical analysis, the selection method of turning parameters based on data-driven in time series is extended to panel data, which makes the estimation of CUSUM-type variance common change point in panel data more reliable.